Screening for Volatile Stocks After a Limit-Down Auction and Gap Up

Summary

This stock screen combines four conditions: amplitude above 1, a prior-day 9:15 matching price at the limit-down level, current volume above 10,000 lots, and an opening price above the previous high. The article says to select up to a chosen number of qualifying stocks, ranking them by a heat measure. It supplies indicator formulas and sample code, but reports no historical or live performance evidence.

The author interprets the conditions as capturing volatility, market attention, trading activity, and a strong opening. The suggested risks include sharp short-term price swings, sentiment shifts, and unstable funding or volume signals. The note recommends adding fundamental and capital-flow information and diversifying across industries. The rule descriptions and sample code may require adaptation to the platform's data conventions, so the screen's timing and definitions should be checked before evaluation.

Key ideas

• The screen combines an amplitude threshold, a prior-day limit-down auction condition, a volume threshold, and a gap above the previous high.
• It proposes ranking qualifying stocks by a heat measure and selecting a limited number.
• The article supplies formulas and sample code but no evidence of trading performance.
• The author identifies volatility, sentiment, and unstable volume or funding conditions as risks.
• The rule definitions and platform-specific data handling need verification before testing.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.